Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity
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- Bahloul, Walid & Gupta, Rangan, 2018.
"Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures,"
International Economics, Elsevier, vol. 156(C), pages 247-253.
- Walid Bahloul & Rangan Gupta, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
- Walid Bahloul & Rangan Gupta, 2017. "The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures," Working Papers 201715, University of Pretoria, Department of Economics.
- Rafiq, Shuddhasattwa & Bloch, Harry, 2016. "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models," Resources Policy, Elsevier, vol. 50(C), pages 34-48.
More about this item
KeywordsOil prices; commodity prices; stability; causality; linear; time-varying;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- F2 - International Economics - - International Factor Movements and International Business
- G00 - Financial Economics - - General - - - General
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